Behavior of the Limit Orderbook
Cancellation rates, size distribution and more!
In the previous article we looked at how we can realistically combine multiple different strategies and when it’s worth it to do so.
Combining Multiple Strategies - Portfolio Optimization
In the previous article we looked at a well known market effect, seasonal volatility, and constructed a strategy from it. In this article we are gonna look at how you can combine multiple different existing strategies and when it actually makes sense to do so.
In this article we are gonna look at a bunch of different properties of the orderbook.
How is size distributed? How quickly do holes refill after a big taker order? Those and many more questions are gonna be answered in this article.
If you end up enjoying this article consider getting the paid subscription, that way you can support me and I can write even more articles!
Here is a discount code for those interested: https://www.vertoxquant.com/62375e34
Table of Content
Best Bid and Ask
Limit Orders
Market Orders
Maker - Taker Dynamics
Important Metrics
Final Remarks